Thursday, June 25, 2009

Pre-Opening Briefing: Back Into the Range

Here's a look at my
Market Delta chart (bottom) prior to this morning's GDP and jobless claims numbers. We peeked above yesterday's highs in the ES and NQ contracts, only to pull back as the overnight session progressed. That sets yesterday's high and the overnight high as important resistance areas, near term. Note how we've transacted more volume at the market bid than offer thus far (bottom histogram) and are currently trading below the day's volume-weighted average price (VWAP; red line). Meanwhile, we're accepting value in the 897-900 range in the ES contract, which--importantly--is not far from yesterday's pivot (average price) level.

What does that mean? We're well within yesterday's trading range and need to see if the morning numbers move us (and keep us) away from that 897-900 consensus area, with yesterday's highs and lows as key near-term resistance and support. If the numbers can't move us significantly, watch today's opening price and VWAP as early fulcrums for range trade.

7:50 AM CT - Note how the weak numbers led to significant selling (middle chart) and rejection of the 897-900 level referenced above. We've broken yesterday's low in ES, with the 6/23 lows as a target if we cannot sustain a bounce back into yesterday's range. Meanwhile, we're building volume at lower prices and trading well below a declining daily VWAP. I'll be updating market action via Twitter after the open.

9:50 AM CT - With a strengthening dollar and weakening bank stocks, we are having trouble vaulting above the multi-day highs (top chart), leaving us range bound and suggesting a possible retracement back to the range mid-point, as volume at bid recently in ES has exceeded volume transacted at the offer price.